New radiator? on 1996 GMC Yukon

Car was leaking antifreeze..Froze up. we thawed it and now NO heat! The car won't completely overheat but it also won't hold any coolant or water. Looked underneath and found the frost plug. Replace the frost plug and fix the problem or the radiator? Not sure if one is a catalyst for the other

The coolant/antifreeze froze in the engine and radiator? When you say you found a frost plug under the engine, do you mean a freeze plug? like this? If the freeze plug popped out, that would be a definite source for a coolant leak.
http://en.wikipedia.org/wiki/Freeze_plug
Is the radiator still leaking as well? If the coolant level is low, that will contribute to your heater's heat output. The heater uses warm coolant to warm the air so if there is air in the system, you may not get any heat from the heater.